Press and hold the power button (on the top) for about 5 seconds, and the device should restart.
Reset and erase all data
Press and hold the Power and Media buttons (top and left side) together for at least 15 seconds. Or, if you have a PIN lock enabled, just enter in a wrong code three times and it will ask if you want to erase it.
This method will remove all media and settings from the Zune. You will need to connect it to a PC or Mac and sync before you can use it again.